ScenarioAnalyticImpl Class Reference

#include <orea/app/analytics/scenarioanalytic.hpp>

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Public Member Functions
	ScenarioAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &	scenario () const
void	setScenario (const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &scenario)
void	setUseSpreadedTermStructures (const bool useSpreadedTermStructures)
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	scenarioSimMarket () const
void	setScenarioSimMarket (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &ssm)
Public Member Functions inherited from Analytic::Impl
	Impl ()
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
virtual	~Impl ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})=0
virtual void	setUpConfigurations ()
virtual QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory ()
	build an engine factory More...
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T >
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
virtual std::vector< QuantLib::Date >	additionalMarketDates () const

Static Public Attributes
static constexpr const char *	LABEL = "SCENARIO"

Private Attributes
QuantLib::ext::shared_ptr< ore::analytics::Scenario >	scenario_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket >	scenarioSimMarket_
bool	useSpreadedTermStructures_ = false

Additional Inherited Members
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily More...
std::map< std::string, QuantLib::ext::shared_ptr< Analytic > >	dependentAnalytics_

Detailed Description

Definition at line 29 of file scenarioanalytic.hpp.

Constructor & Destructor Documentation

ScenarioAnalyticImpl()

ScenarioAnalyticImpl

(

const QuantLib::ext::shared_ptr< InputParameters > &

inputs

)

Definition at line 33 of file scenarioanalytic.hpp.

                                                                               : 
        Analytic::Impl(inputs) {
        setLabel(LABEL);
    }

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Member Function Documentation

runAnalytic()

void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader, const std::set< std::string > &  runTypes = {}  )

overridevirtual

Implements Analytic::Impl.

Definition at line 32 of file scenarioanalytic.cpp.

                                                                      {
 
    if (!analytic()->match(runTypes))
        return;
 
    LOG("ScenarioAnalytic::runAnalytic called");
 
    analytic()->buildMarket(loader);
 
    LOG("Building scenario simulation market for date " << io::iso_date(inputs_->asof()));
    // FIXME: *configurations_.todaysMarketParams uninitialized?
    auto ssm = QuantLib::ext::make_shared<ScenarioSimMarket>(
        analytic()->market(), analytic()->configurations().simMarketParams, Market::defaultConfiguration,
        *analytic()->configurations().curveConfig, *analytic()->configurations().todaysMarketParams, true,
        useSpreadedTermStructures_, false, false, *inputs_->iborFallbackConfig());
 
    setScenarioSimMarket(ssm);
    auto scenario = ssm->baseScenario();
    setScenario(scenario);
 
    QuantLib::ext::shared_ptr<InMemoryReport> report = QuantLib::ext::make_shared<InMemoryReport>();
    auto sw = ScenarioWriter(nullptr, report);
    sw.writeScenario(scenario, true);
    analytic()->reports()[label()]["scenario"] = report;
}

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setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

Definition at line 27 of file scenarioanalytic.cpp.

                                               {
    analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
    analytic()->configurations().simMarketParams = inputs_->scenarioSimMarketParams();
}

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scenario()

const QuantLib::ext::shared_ptr< ore::analytics::Scenario > & scenario

(

)

const

Definition at line 41 of file scenarioanalytic.hpp.

{ return scenario_; };

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setScenario()

void setScenario

(

const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &

scenario

)

Definition at line 42 of file scenarioanalytic.hpp.

{ scenario_ = scenario; }

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setUseSpreadedTermStructures()

void setUseSpreadedTermStructures

(

const bool

useSpreadedTermStructures

)

Definition at line 43 of file scenarioanalytic.hpp.

                                                                            {
        useSpreadedTermStructures_ = useSpreadedTermStructures;
    }

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scenarioSimMarket()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > & scenarioSimMarket

(

)

const

Definition at line 47 of file scenarioanalytic.hpp.

                                                                                          {
        return scenarioSimMarket_;
    };

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setScenarioSimMarket()

void setScenarioSimMarket

(

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &

ssm

)

Definition at line 50 of file scenarioanalytic.hpp.

                                                                                               {
        scenarioSimMarket_ = ssm;
    }

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Member Data Documentation

LABEL

constexpr const char* LABEL = "SCENARIO"

staticconstexpr

Definition at line 31 of file scenarioanalytic.hpp.

scenario_

QuantLib::ext::shared_ptr<ore::analytics::Scenario> scenario_

private

Definition at line 55 of file scenarioanalytic.hpp.

scenarioSimMarket_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarket> scenarioSimMarket_

private

Definition at line 56 of file scenarioanalytic.hpp.

useSpreadedTermStructures_

bool useSpreadedTermStructures_ = false

private

Definition at line 57 of file scenarioanalytic.hpp.